COURSE LEADER: GIOVANNI URGA COURSE ID: D-EF40-OL LANGUAGE:

FACTOR MODELS & RISK MANAGEMENT TOOLS

The growth in financial instruments during the last decade has resulted in a significant development of econometric methods (financial econometrics) applied to financial data. The objective of our Factor Models & Risk Management Tools course is to provide participants with a comprehensive overview of the principal methodologies, both theoretical and applied, adopted for risk analysis and risk management. To this end, the course focuses on the implementation of both factor models and principal components analysis for the identification of specific asset, country and global risk factors and on risk management tools/measures.

In common with TStat’s training philosophy, throughout the course the theoretical sessions are reinforced by case study examples, in which the course tutor discusses current research issues, highlighting potential pitfalls and the advantages of individual techniques. The intuition behind the choice and implementation of a specific technique is of the utmost importance. In this manner, course leaders are able to bridge the “often difficult” gap between abstract theoretical methodologies, and the practical issues one encounters when dealing with real data. At the end of the course, participants are expected to be able to autonomously implement the theories and methodologies discussed in the course.

The course is of particular interest to: i) Master and Ph.D. Students and researchers in public and private research centres, and ii) professionals employed in risk management in the following sectors: asset management, exchange rate and market risk analysis, front office and research in investment banking and insurance, needing to acquire the necessary econometric/statistical toolset to independently conduct an empirical analysis of financial risk.

Participants should have a knowledge of the inferential statistics and introductory econometric methods illustrated in Brooks (2019).

SESSION I: FACTOR MODELS

Static and dynamic factors, factor estimation, determining the number of factors, nonstationary factor models;

Identifying global, asset related and country specific factors in data with a large number of assets with principal component analysis and static and dynamic factor models;

Applications of factor analysis to (bond and asset) portfolio management, stock liquidity and its determinants.

 

SESSION II: RISK MANAGEMENT TOOLS

Porfolio Value-at-Risk (VaR):

definitions

Approaches for estimating VaR:

Parametric VaR, Historical simulation VaR

Monte Carlo VaR

Expected Shortfall (ES) and Tail Risk (TR)

Backtesting procedures:

Unconditional coverage

Independence

Conditional coverage

Duration based tests of independence

 

COURSE REFERENCES 

Introductory Econometrics for Finance. Brooks, C., (2019). Cambridge University Press, 4th edition.
Financial Econometrics Using Stata. Boffelli, S., and G. Urga (2016). Stata Press Publication.

Due to the current Public Health situation, the 2021 edition of this training Course will be offered ONLINE on a part-time basis. The course program has therefore been restructured into two, three hour, sessions which will be offered on the 22nd-23rd March 2021 at the following times:

Time Zone (1) from 8.00 am to 11.30 am CET

Time Zone (2) from 3.00 pm to 6.30 pm CET

in order to facilitate participation for our clients based in both Europe/Middle East and North and South America.

A 45 minutes informal evening Study Group session will also be scheduled, during which participants are encouraged to discuss further issues arising from either the arguments addressed or practical sessions undertaken. The course leader will also be available during this session to offer feedback and guidance on how to deal with specific research issues.

Full-time Students*: € 355.00

University: € 505.00

Commercial: € 675.00

*To be eligible for student prices, participants must provide proof of their full-time student status for the current academic year.

Fees are subject to VAT (applied at the current Italian rate of 22%). Under current EU fiscal regulations, VAT will not however applied to companies, Institutions or Universities providing a valid tax registration number.

The number of participants is limited to 8. Places, will be allocated on a first come, first serve basis. The course will be officially confirmed, when at least 5 individuals are enrolled.

Course fees cover: course materials (handouts, Stata do files and datasets to be used during the course), a temporary licence of Stata valid for 30 days from the beginning of the course.

Individuals interested in attending the training course should contact TStat Training to ask for a registration form. The completed application should then be returned to TStat by 12th March 2021.


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ONLINE FORMAT

The growth in financial instruments during the last decade has resulted in a significant development of econometric methods (financial econometrics) applied to financial data. The objective of our Factor Models & Risk Management Tools course is to provide participants with a comprehensive overview of the principal methodologies, both theoretical and applied, adopted for risk analysis and risk management. To this end, the course focuses on the implementation of both factor models and principal components analysis for the identification of specific asset, country and global risk factors and on risk management tools/measures.

Due to the current COVID-19 situation, the 2020 edition of this Training Course will now be offered ONLINE, on a part-time basis on the 22nd-23rd March 2021.